Decomposition of default probability under a structural credit risk model with jumps
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Publication:1936262
DOI10.1007/s10986-012-9180-6zbMath1264.91132OpenAlexW1978557055MaRDI QIDQ1936262
Publication date: 21 February 2013
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10986-012-9180-6
Markov processintegro-differential equationdefault probabilitydefault timerational family distributionStructural credit risk model with jumps
Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Credit risk (91G40)
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